[1]蒋崇辉a,b,奉琳竣a.基于二叉树模型的可转债定价:定价偏差的影响因素分析[J].金融教育研究,2021,(01):21-30.
　JIANG Chonghuia,b,FENG Linjuna.Pricing of Convertible Bonds based on Binary Tree Model: Analysis of Influencing Factors of Pricing Deviation[J].,2021,(01):21-30.
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基于二叉树模型的可转债定价:定价偏差的影响因素分析()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2021年01期
页码:
21-30
栏目:
出版日期:
2021-01-25

文章信息/Info

Title:
Pricing of Convertible Bonds based on Binary Tree Model: Analysis of Influencing Factors of Pricing Deviation
文章编号:
2095-0098(2021)01-0021-10
作者:
蒋崇辉a; b;  奉琳竣a
江西财经大学 a.金融学院; b.金融发展和风险防范研究中心,江西 南昌 330013
Author(s):
JIANG Chonghuia; b;  FENG Linjuna
a.School of Finance; b.Research Centre of Financial Development and Risk Prevention,Jiangxi University of Finance and Economics,Nanchang,Jiangxi 330013,China
关键词:
可转债定价;  二叉树;  定价偏差;  影响因素
Keywords:
Pricing of convertible bonds;  Binary tree;  Pricing deviation;  Influencing factors
分类号:
F830.91
文献标志码:
A
摘要:
对可转债进行准确定价不管是在学术界还是在业界都是非常重要的问题。选择我国49只可转债为样本,在基于二叉树模型对可转债进行定价的基础上,进一步从影响可转债理论价格和市场价格两个角度实证分析影响定价偏差率的因素。结果发现:(1)由二叉树模型得到的理论价格平均而言高于可转债的市场价格,理论价格高出市场价格约2%,且随着二叉树步数的增加,定价偏差率的均值和中位数呈下降趋势;(2)代表个别可转债市场行情的纯债溢价率和代表整个可转债市场行情的指数累计收益率对定价偏差率产生显著的负向影响,而代表债券投资风险的信用评级和剩余时间对定价偏差率产生显著的正向影响。
Abstract:
Accurate pricing of convertible bonds is a very important issue in both academia and industry.In this paper,49 convertibles in China are selected as samples,and on the basis of pricing convertibles based on binary tree model,the factors affecting pricing deviation rate are analyzed empirically from two perspectives:theoretical price and market price of convertibles.The results show that:(1)On average,the theoretical price obtained from the binary tree model is higher than the market price of convertible bonds,and the theoretical price is about 2% higher than the market price.With the increase of the number of steps of the binary tree,the mean and median of pricing deviation rate show a downward trend.(2)The pure bond premium rate representing the market situation of individual convertible bonds and the index cumulative yield representing the market situation of the whole convertible bond market have a significant negative impact on pricing deviation rate.However,the credit rating and remaining time which represent the risk of bond investment have a significant positive effect on the pricing deviation rate.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2020-03-20
基金项目:国家自然科学基金资助项目(71961007,71471029); 江西省高校人文社会科学重点研究基地项目(JD18093)
作者简介:蒋崇辉(1980-),男,湖南永州人,博士,教授,博士生导师,研究方向为金融工程。
更新日期/Last Update: 2021-02-10